Gaussian Process Change Point Models

@inproceedings{Saatci2010GaussianPC,
  title={Gaussian Process Change Point Models},
  author={Yunus Saatci and Ryan D. Turner and Carl E. Rasmussen},
  booktitle={ICML},
  year={2010}
}
•Combine Bayesian change point detection with Gaussian Processes to define a nonstationary time series model. •Central aim is to react to underlying regime changes in an online manner. •Able to integrate out all latent variables and optimize hyperparameters sequentially. •Explore three alternative ways of augmenting GP models to handle nonstationarity (GPTS, ARGPCP and NSGP – see below). •A Bayesian approach (BOCPD) for online change point detection was introduced in [1]. •BOCPD introduces a… CONTINUE READING
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